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Columbia Business School - Finance and Economics
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risk-neutral, PDs, reduced-form models
Collateral, Interest Rate Swaps, Default
Endogenous default, leverage, real options, debt overhang, debt seniority
Risk-neutral, PDs, reduced-form models
Liability Driven Investment (LDI) , Asset Allocation, Pension, Downside Risk, Expected Shortfall
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Pension funds, liability-driven investment, swap spreads, pension protection act, swap rates, limits of arbitrage
duration, swap spreads, balance sheet constraints, funding status of pension plans, defined benefits, repo, LIBOR
Run Risk, Safe Harbor Debt, Optimal Liability Structure, Capital Structure, Bankruptcy Code
Contingent capital, capital requirements
Euro-Dollar currency basis, the 2008 dollar squeeze, possession, canonical buy-sell arbitrage, central banks coordinated intervention, money markets, liquidity
Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer
Unencumbered cash, prime brokers, redemption and funding options
bank liability structure, corporate tax, leverage
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Y2K Options, liquidity, treasury bonds
Y2K, CDC, liquidity, on-the-run, off-the-run, options
foreign currency exposure; corporate hedging; creditor rights
liquidity regulation, regulatory design
G1, G12, G18
